Make sure that if you buy such a device it doesn’t do over the air upgrades. I bought a smart baby monitor (miku) that promised no monthly fees. Then they went bankrupt. A new company was formed that bought the assets. They disabled most functionality via forced over the air update then added a fee to enable the previously free functionality.
Louis Rossman would love to hear from you. Here's a recent video where he covers the exact same situation as you with another company where the purchasing company disables functionality behind a subscription.
And is actively trying to prevent hackers from running stuff locally.
Nest itself did this too. My gen 1 (pre-Google) Nest did forced OTA updates. Once or twice it bricked itself; fortunately it was still able to receive updates and Nest corrected the problem.
Then they couldn't resist fiddling with the UI. Every new update changed the UI such that I had to relearn how to operate it.
That was the last straw, so I disconnected it from my wifi and just used it as a standalone thermostat.
Not the person you are asking. I'm partial to all Shelly stuff. So far very reliable and the price is ok. They do have a cloud but it is entirely optional.
What are the best ways of finding such devices? Almost all the time when I look into some product it ends up being connected to some random cloud service with its own login.
HomeAssistant supports a bunch of home automation systems, including local-only ones like ZWave and Zigbee*. A search for "zwave thermostat" comes up with a lot of results, though I couldn't say how difficult it might be to configure them (I'm only using simpler devices like switches and sensors).
* There are internet-connected controllers and local controllers so you'd also want a local controller. I've used an Aeotec Z-Stick for ZWave devices for around a decade, it plugs into USB, HomeAssistant accesses it directly, and the ZWave network itself is connections between the Z-Stick and the devices without the internet.
One way is to look for devices that have unofficial firmware available, so you can just overwrite the included software for something more under your control. For example, check out Tasmota, "an open source firmware for Espressif ESP8266, ESP32, ESP32-S or ESP32-C3 chipset based devices": https://tasmota.github.io/docs/